On Modelling Speculative Prices: The Empirical Literature |
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Authors: | Elena Andreou,Nikitas Pittis,& Aris Spanos |
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Affiliation: | University of Manchester,;University of Piraeus,;Virginia Tech |
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Abstract: | Traditionally, financial theory and in particular asset pricing models have assumed (implicitly or explicitly) a certain probabilistic structure for speculative prices. The probabilistic structure is usually defined in terms of specific statistical models and relates to the dependence, heterogeneity and the distribution of such prices. The primary objective of this paper is to trace the development of various statistical models proposed since Bachelier (1900), in an attempt to assess how well these models capture the empirical regularities exhibited by data on speculative prices. |
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Keywords: | Stock market returns Volatility Efficient market hypothesis ARCH |
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